Roxana entered Alexander the Great's household after the Macedonian conquest of the Sogdian Rock in 327 BC. Arrian names her among the captive daughters of the nobleman Oxyartes and presents Alexander as choosing marriage after falling in love with her. The marriage also connected the conqueror to a local family. Roxana accompanied the expedition into India and later reached Babylon. Her own account of these events does not survive.

When Alexander died in 323 BC, Roxana was pregnant. Her son, Alexander IV, became joint king with Alexander's half brother Philip III, while generals exercised authority as regents. Plutarch's later narrative accuses Roxana, with Perdiccas's assistance, of arranging the death of Alexander's other wife Stateira to remove a rival. This is an allegation in the ancient literary tradition, not direct testimony from Roxana. Her position thereafter depended on the struggle among the commanders claiming to protect the royal family.

Under Antipater's regency she and her son were brought to Macedonia. They became associated with Olympias, Alexander's mother, but Cassander took them into custody after defeating her in 316 BC. Confined at Amphipolis, they remained potential obstacles to his power. Diodorus reports that, as the boy approached an age to rule, Cassander ordered their guardian Glaucias to kill mother and son and conceal their bodies. They were murdered around 310 BC; the exact year remains disputed. No independent reign by Roxana is documented.